AGP (Pakistan) Market Value
| AGP Stock | 174.21 4.65 2.74% |
| Symbol | AGP |
AGP 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to AGP's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of AGP.
| 11/19/2023 |
| 12/13/2024 |
If you would invest 0.00 in AGP on November 19, 2023 and sell it all today you would earn a total of 0.00 from holding AGP or generate 0.0% return on investment in AGP over 390 days. AGP is related to or competes with Dost Steels, Ittehad Chemicals, Mughal Iron, Shifa International, First Credit, and Allied Bank. More
AGP Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure AGP's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess AGP upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.14 | |||
| Information Ratio | 0.2459 | |||
| Maximum Drawdown | 15.23 | |||
| Value At Risk | (2.88) | |||
| Potential Upside | 6.26 |
AGP Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AGP's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AGP's standard deviation. In reality, there are many statistical measures that can use AGP historical prices to predict the future AGP's volatility.| Risk Adjusted Performance | 0.2144 | |||
| Jensen Alpha | 0.7984 | |||
| Total Risk Alpha | 0.4054 | |||
| Sortino Ratio | 0.3305 | |||
| Treynor Ratio | 8.98 |
AGP Backtested Returns
AGP appears to be very steady, given 3 months investment horizon. AGP secures Sharpe Ratio (or Efficiency) of 0.28, which signifies that the company had a 0.28% return per unit of risk over the last 3 months. By reviewing AGP's technical indicators, you can evaluate if the expected return of 0.82% is justified by implied risk. Please makes use of AGP's risk adjusted performance of 0.2144, and Mean Deviation of 1.98 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, AGP holds a performance score of 22. The firm shows a Beta (market volatility) of 0.0899, which signifies not very significant fluctuations relative to the market. As returns on the market increase, AGP's returns are expected to increase less than the market. However, during the bear market, the loss of holding AGP is expected to be smaller as well. Please check AGP's maximum drawdown, semi variance, and the relationship between the sortino ratio and potential upside , to make a quick decision on whether AGP's price patterns will revert.
Auto-correlation | 0.91 |
Excellent predictability
AGP has excellent predictability. Overlapping area represents the amount of predictability between AGP time series from 19th of November 2023 to 1st of June 2024 and 1st of June 2024 to 13th of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of AGP price movement. The serial correlation of 0.91 indicates that approximately 91.0% of current AGP price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.91 | |
| Spearman Rank Test | 0.79 | |
| Residual Average | 0.0 | |
| Price Variance | 639.82 |
AGP lagged returns against current returns
Autocorrelation, which is AGP stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting AGP's stock expected returns. We can calculate the autocorrelation of AGP returns to help us make a trade decision. For example, suppose you find that AGP has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
AGP regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If AGP stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AGP stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AGP stock over time.
Current vs Lagged Prices |
| Timeline |
AGP Lagged Returns
When evaluating AGP's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AGP stock have on its future price. AGP autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, AGP autocorrelation shows the relationship between AGP stock current value and its past values and can show if there is a momentum factor associated with investing in AGP.
Regressed Prices |
| Timeline |
Pair Trading with AGP
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if AGP position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in AGP will appreciate offsetting losses from the drop in the long position's value.Moving together with AGP Stock
| 0.95 | OGDC | Oil and Gas | PairCorr |
| 0.96 | PSO | Pakistan State Oil | PairCorr |
| 0.95 | PPL | Pakistan Petroleum | PairCorr |
| 0.93 | FFC | Fauji Fertilizer | PairCorr |
| 0.75 | HBL | Habib Bank | PairCorr |
The ability to find closely correlated positions to AGP could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace AGP when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back AGP - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling AGP to buy it.
The correlation of AGP is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as AGP moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if AGP moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for AGP can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Additional Tools for AGP Stock Analysis
When running AGP's price analysis, check to measure AGP's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy AGP is operating at the current time. Most of AGP's value examination focuses on studying past and present price action to predict the probability of AGP's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move AGP's price. Additionally, you may evaluate how the addition of AGP to your portfolios can decrease your overall portfolio volatility.